Assume a portfolio with an annual expected return of 5% and an annual standard deviation of...
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Assume a portfolio with an annual expected return of 5% and an annual standard deviation of 10%. The current value of the portfolio is 1,000,000. Assume 250 trading days in a year. Calculate the 1- day VaR at 99% confidence level (z=2.33) (reported as a positive value). Assume a portfolio with an annual expected return of 5% and an annual standard deviation of 10%. The current value of the portfolio is 1,000,000. Assume 250 trading days in a year. Calculate the 1- day VaR at 99% confidence level (z=2.33) (reported as a positive value).
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Related Book For
Intermediate Accounting
ISBN: 978-0324312140
16th Edition
Authors: James D. Stice, Earl K. Stice, Fred Skousen
Posted Date:
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